Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0086 |
| Annualized Std Dev | 0.0925 |
| Annualized Sharpe (Rf=0%) | -0.0929 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3708.0000 |
| NAs | 1.0000 |
| Minimum | -0.0337 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0032 |
| Maximum | 0.0422 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0058 |
| Skewness | -0.0755 |
| Kurtosis | 3.5214 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0042 |
| Gain Deviation | 0.0039 |
| Loss Deviation | 0.0041 |
| Downside Deviation (MAR=210%) | 0.0101 |
| Downside Deviation (Rf=0%) | 0.0042 |
| Downside Deviation (0%) | 0.0042 |
| Maximum Drawdown | 0.3788 |
| Historical VaR (95%) | -0.0092 |
| Historical ES (95%) | -0.0136 |
| Modified VaR (95%) | -0.0093 |
| Modified ES (95%) | -0.0144 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-08 | 2020-03-23 | NA | -0.3788 | 3364 | 3113 | NA |
| 2006-09-01 | 2007-02-02 | 2007-05-07 | -0.0705 | 169 | 105 | 64 |
| 2007-07-25 | 2007-08-15 | 2007-09-12 | -0.0393 | 35 | 16 | 19 |
| 2006-07-05 | 2006-07-24 | 2006-08-25 | -0.0275 | 38 | 14 | 24 |
| 2007-10-22 | 2007-10-22 | 2007-10-25 | -0.0152 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | -0.3 | -0.2 | -0.2 | -0.7 | -1.3 | -0.5 | -0.6 | -3.8 |
| 2007 | -0.4 | -0.4 | 0.6 | -0.5 | 0.5 | -0.5 | 0.5 | 0.4 | 0 | -1 | -0.2 | -1.4 | -2.3 |
| 2008 | 0.7 | -0.8 | 0.1 | -1.4 | -0.4 | -0.4 | -0.5 | -1 | 0.2 | 1 | -0.5 | 0.5 | -2.5 |
| 2009 | -0.3 | -1.5 | 0 | 0.6 | 0.1 | 1.2 | 0.6 | -0.8 | -1.2 | -1.4 | 0.9 | 0.4 | -1.4 |
| 2010 | 0.7 | 1 | 0.7 | -1 | -0.2 | 0.4 | 0.8 | 1.4 | 0.9 | 0.4 | 0.9 | 0.1 | 6.1 |
| 2011 | 1 | -0.3 | 0.5 | 0.5 | -0.7 | 0.6 | -0.1 | 0.3 | -1.1 | -2.2 | 0.6 | 0.2 | -0.7 |
| 2012 | 0.4 | 0.3 | -0.1 | 0.2 | -0.7 | 1.4 | -0.2 | 0.7 | 0 | 0.2 | -0.1 | 0.4 | 2.6 |
| 2013 | 0 | 0.4 | -0.1 | -0.1 | -0.7 | 0.2 | -0.8 | 0 | -0.3 | 0 | -0.3 | 0.1 | -1.4 |
| 2014 | 0.2 | 0.6 | 0.2 | 0 | -0.1 | 0.4 | -0.3 | -0.2 | 0.2 | -0.8 | 0.9 | -0.2 | 1.1 |
| 2015 | -0.8 | 0.2 | 0.3 | -0.8 | -0.7 | -0.8 | -0.6 | -0.5 | 0.6 | 0.7 | 0 | 0.3 | -2 |
| 2016 | 0.6 | 0.9 | -0.2 | 0 | 0.4 | 0 | -0.5 | 0.2 | 0.2 | 0.2 | 0.9 | 0.6 | 3.3 |
| 2017 | -0.3 | -0.4 | 0.2 | -0.2 | -0.1 | 0.3 | -0.5 | 0.8 | -0.3 | 0.3 | 1.6 | 0 | 1.4 |
| 2018 | 0.2 | 0 | 0.3 | -0.2 | 0 | 0.9 | 0 | -0.6 | 0.9 | 0.6 | 0 | 0.1 | 2.3 |
| 2019 | 0.2 | -1.1 | 0.3 | -0.5 | -0.2 | -0.3 | -0.2 | 0 | 0.1 | 0.1 | 0 | 0.6 | -1 |
| 2020 | -0.3 | -0.3 | -1 | -1 | 1.5 | -0.1 | 0.4 | -0.3 | 0.3 | -0.1 | 0.4 | 0.3 | -0.2 |
| 2021 | -0.6 | 0.6 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-26 89.2 SPY 125. 4.40e-3 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
2 2006-06-27 89.1 SPY 124. -8.60e-3 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
3 2006-06-28 89.2 SPY 125. 6.80e-3 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
4 2006-06-29 90.1 SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
5 2006-06-30 89.8 SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
6 2006-07-03 90.3 SPY 128. 4.50e-3 0.0225 -0.00930 -0.0149 0.0692 0.281 0.0514 GLD 62.2 0.0155 0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
